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State space models with endogenous regime switching

Chang, Yoosoon; Tan, Fei; Wei, Xin - 2018 - This version: November 29, 2018

Persistent link: https://www.econbiz.de/10012223866

Indirect inference estimation of mixed frequency stochastic volatility state space models using MIDAS regressions and ARCH models

Gagliardini, Patrick; Ghysels, Eric; Rubin, M. - In: Journal of financial econometrics : official journal of … 15 (2017) 4, pp. 509-560

Persistent link: https://www.econbiz.de/10011987633

Natural interest rate for the Romanian economy

Acatrinei, Marius; Armenau, Dan; Dobrota, Carmen Elena - In: Romanian journal of economic forecasting 21 (2018) 3, pp. 104-116

Persistent link: https://www.econbiz.de/10012021822

Mortgages : estimating default correlation and forecasting default risk

Neumann, Tobias - 2018

Persistent link: https://www.econbiz.de/10011914364

Inflation trends in Asia : implications for central banks

Garcia, Juan Angel; Poon, Aubrey - 2019

Trend inflation estimates for 12 of the largest Asian economies over 1995-2018 offer important insights on inflation dynamics and inflation expectations. The disinflationary shocks that hit the region since 2014 were partly transitory, but their effects have been different depending on the...

Persistent link: https://www.econbiz.de/10012132591

Higher frequency hedonic property price indices : a state space approach

Hill, Robert J.; Rambaldi, Alicia N.; Scholz, Michael - 2018 - Version: 2 February 2018

Persistent link: https://www.econbiz.de/10011797762

Style analysis with particle filtering and generalized simulated annealing

Fukui, Takaya; Sato, Seisho; Takahashi, Akihiko - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-29

Persistent link: https://www.econbiz.de/10011778283

Testing on productivity transition in Thai economy through the lens of state space model

Wuthiya Saraithong; Kanokwan Chancharoenchai - In: International journal of economic policy in emerging … 13 (2020) 4, pp. 393-402

Persistent link: https://www.econbiz.de/10012508025

Autocorrelation in an unobservable global trend : does it help to forecast market returns?

Peresetsky, Anatoly A.; Yakubov, Ruslan I. - In: International journal of computational economics and … 7 (2017) 1/2, pp. 152-169

Persistent link: https://www.econbiz.de/10011713553

Staying positive : challenges and solutions in using pure multiplicative ETS models

Svetunkov, Ivan; Boylan, John Edward - In: IMA journal of management mathematics 35 (2024) 3, pp. 403-425

Persistent link: https://www.econbiz.de/10014634207

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